On artificial adaptive agents models of stock markets
Document Type
Journal article
Source Publication
Simulation
Publication Date
5-1-1997
Volume
68
Issue
5
First Page
279
Last Page
289
Keywords
Artificial adaptive agents, deterministic chaos, linear regression, stock market
Abstract
The complex behavior of share prices in a stock market is studied under a modeling technique of artificial adaptive agents. Individual agents who are active in the market are identified and represented by mathematical functions. Share price is then determined by an arithmetic sum of these functions. Iterations of the models produce a time series of share prices, which exhibits nonlinearities similar to those found in real-world stock markets. Several experiments are reported in this paper. The wealth held by an agent at the beginning of the experiment and the method by which the agent adapts himself to market trends are shown to be important to the success of the agent.
DOI
10.1177/003754979706800503
Print ISSN
00375497
Publisher Statement
Copyright © 1997, Sage Publications. All rights reserved. Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English